Showing 1 - 10 of 1,453
Conducting the first study of momentum impact on households' ETF trading behavior, we find that Finnish households are less contrarian when trading benchmark index ETFs than when trading common stocks. Also, their propensity to chase recent positive momentum is higher when purchasing ETFs than...
Persistent link: https://www.econbiz.de/10012909944
Using mutual fund flow, we empirically test whether choices made by investors are consistent with preferences implied by prospect theory. Our findings support this hypothesis. When allocating capital to mutual funds, investors evaluate funds based on the past performance distribution and choose...
Persistent link: https://www.econbiz.de/10012886145
Measuring mutual fund managers’ skills by Microsoft’s TrueSkill algorithm, we find highly skilled managers to behave self-confident resulting in higher risk-taking in the second half of the year compared to less skilled managers. Introducing the TrueSkill algorithm, which is widely used in...
Persistent link: https://www.econbiz.de/10013236083
We study the life cycle performance of hedge fund managers. We are the first to find that hedge fund managers have a life cycle relationship between their work experience and performance. In the early years of their profession, fund managers work hard to build up their expertise. As a result,...
Persistent link: https://www.econbiz.de/10014235993
Using a large set of trading accounts, we study the determinants of retail investing in passive Exchange Traded Funds (P-ETFs). Controlling for investor characteristics related to their risk-return profile, trading activity, and socio-demographics, we show that the probability and magnitude of...
Persistent link: https://www.econbiz.de/10012843556
Despite the ability to explain many puzzling phenomena in financial markets, direct tests of reference-dependent preferences of Kahneman and Tversky (1979, 1992) have mainly been conducted in experimental settings. We propose a novel test based on revealed preferences of real-world investors....
Persistent link: https://www.econbiz.de/10012848272
This paper analyzes how trading after shareholder meetings changes the composition of the shareholder base. Analyzing daily trades, we find that mutual funds reduce their holdings if their votes are opposed to the voting outcome. Trading volume is high even when stock prices do not change, peaks...
Persistent link: https://www.econbiz.de/10012853172
We survey a representative sample of U.S. individuals about how well leading academic theories describe their financial beliefs and decisions. We find substantial support for many factors hypothesized to affect portfolio equity share, particularly background risk, investment horizon, rare...
Persistent link: https://www.econbiz.de/10012861993
We link a seemingly biased trading behavior to equilibrium asset prices. U.S. equity mutual fund managers tend to sell both their big winners and big losers. This selling pressure pushes down current prices and leads to higher future returns; aggregating across funds, we nd that securities for...
Persistent link: https://www.econbiz.de/10012856415
We investigate the portfolio performance of retail investors who combine stocks and passive exchange traded funds (P-ETFs) by relying on both proprietary trading records and survey data. We use propensity score matching to control for all the key investor characteristics and better identify the...
Persistent link: https://www.econbiz.de/10013405055